Application of var - models for research household liquidity effect in monetary transmission
Research of channel of monetary transmission, associated with household liquidity effect. Analysis of dynamics of share of national currency deposits in liabilities of banking system. Study of role of banking system in formation of consumer demand.
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The purpose of the research was using liquidity-adjusted Capital Asset Pricing Model (CAPM) proposed by Acharya and Pedersen to figure out how does the liquidity effect on asset returns in crisis time is different from the liquidity effect in stable time.
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